I know one thing that used to be really bad in options was you'd see a print at your price, but then they'd wait a bit to decide whether to give you your fill, or keep it for themelves. You try to force their hand by sending in a "cancel" - and then if the next tick is your way they say "you're out" but if goes against you they say "to late to can."


This is because you're only guaranteed a fill on a limit order if it trades through your price. But the reason people use limit orders in options is because they trade so infrequently. So you're stuck giving them a free ticket to lean on for Heaven knows how long.


I get angry just typing about it.


elroy